Treynor-Black portfolio management model by Ben

Treynor-Black portfolio management model (portfolio management, optimization, active)

[pct_w_pos_opti beta_pos_opti pct_w_active measures_port me...

CVaR Portfolio Optimization by Seth DeLand

Conditional Value at Risk (CVaR) portfolio optimization with the PortfolioCVaR object (portfolio optimizatio..., cvar, conditional value at ...)

CVaRPortfolioOptimizationExample.m

Automated Trading with MATLAB - 2012 by Stuart Kozola

Files from the Automated Trading webinar showing X_Trader and QuickFIX/J integration. (algorithmic trading, x_trader, genetic programming)

Algorithmic Trading with MATLAB: Intraday trading

Algorithmic Trading with MATLAB: Moving Average Rule

Algorithmic Trading with MATLAB: Pairs trading

SCOPE: interactively tabulate SEER excel variables by Rex Cheung

This takes SEER excel column data interactively, tabulate them, write back in table format. (data import, data export, optimization)

output=xls2tabulate2xls(xlsfilename)

Output set of stock prices from yahoo finance as a matrix with header and dates into excel by Haidar Haidar

Output historical stock prices for a basket of stocks and given period as a matrix with header (financial mathematics, download stocks, yahoo finance)

[B,C,name2]=M_Tri_EXL(Start_Date,End_Date,ty)

Portfolio Optimizer Tool by Patric Schenk

Portfolio Optimizer Tool (data import, gui, finance)

portfoliotool(varargin)

ExcelReport

Portfolio

Efficient Frontier GUI by Ameya Deoras

Efficient frontier from Yahoo or database data. (finance, analysis, modeling)

dfdb_port_opt(varargin)

cleanMe.m

Financial Seminar Demos by Ameya Deoras

Demos commonly used at The MathWorks financial modeling seminars. (finance, modeling, portfolio var risk ma...)

PortVaRmc(nsim)

blsimpv(so,x,r,t,call,maxiter,q,tol)

blsvis(varargin)

Pricing Derivatives Securities using MATLAB by Mayeda Reyes-Kattar

Examples of pricing derivatives securities using MATLAB (webinar, derivatives securitie..., finance)

optionvanilla(S,E,r,T,sigma,divYield,nSims,nSteps,type, sho...

portbrowser(varargin)

treedemonew(Command, Trees,Port,RS)

FinMetrics by Vitaly Kuznetsov

Open source/open architecture quantitative portfolio management environment. (trading, portfolio management, risk)

fm(varargin)

Asset

AssetUniverse

Plot Stock Prices by Malcolm Wood

Retrieves and plots historical stock prices (prices, stocks, datafeed)

plot_prices(symbol,num_days)

chart_example.m

Modeling Variable Annuities with MATLAB by Yi Wang

Pricing Guaranteed Minimum Withdrawal Benefit (annuities, annuity, variable annuities)

calcGMWB(tickers, holdings, startDate, endDate, aWRate, aFe...

createSurfaceFit(IGWBGrid, initSAGrid, costGrid)

getEquityData(Ticker, FromDate, ToDate, Period)

Modeling Variable Annuities with MATLAB by Yi Wang

This demo shows how to price variable annuity product (Guaranteed Minimum Withdrawal Benefit) (va, variable annuities, variable annuity)

GMWB Demo

calcGMWB(tickers, holdings, startDate, endDate, aWRate, aFe...

createSurfaceFit(IGWBGrid, initSAGrid, costGrid)

Chinese Matlab Digest: Matlab Technical Bulletin by Hong Zhang

Chinese Matlab Digest is the first matlab digest published in Chinese by www.iLoveMatlab.cn (digest, matlab digest, chinese digest)

ECB Statistical Data Warehouse by Wu

Download econometric time series from the ECB Statistical Data Warehouse. (data acquisition, european central bank, macroeconomic)

fECBcsv(cKey)

Real-Time Datafeed from Yahoo! by Eric Johnson

Extension of Datafeed Toolbox's Yahoo object, allowing real-time data to be fetched (yahoo, datafeed, analysis)

builduniverse(y,s,d1,d2,p)

close(c)

display(c)

df2fts_ by Michael Robbins

Fetch from bloomberg and put in financial time series object. (finance, modeling, analysis)

myfts=df2fts(CIX,Field,FromDate,ToDate)

ZigZag - Financial Indicator Wave by Olaf Marthiens

Read Yahoo Stock price and generate ZigZag Wave. (financial trading zig..., modeling, analysis)

ZigZag.m

Guaranteed yahoo/fetch by Erik Larsson

Ensures you get the data you want. (finance, modeling, analysis)

df2fts by Michael Robbins

Fetch from bloomberg and put in financial time series object. (finance, modeling, analysis)

myfts=df2fts(CIX,Field,FromDate,ToDate)